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    <title>kalm</title>
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    <center>Scilab Function</center>
    <div align="right">Last update : April 1993</div>
    <p>
      <b>kalm</b> -  Kalman update</p>
    <h3>
      <font color="blue">Calling Sequence</font>
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    <dl>
      <dd>
        <tt>[x1,p1,x,p]=kalm(y,x0,p0,f,g,h,q,r)  </tt>
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      <font color="blue">Parameters</font>
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    <ul>
      <li>
        <tt>
          <b>f,g,h</b>
        </tt>: current system matrices</li>
      <li>
        <tt>
          <b>q, r</b>
        </tt>: covariance matrices of dynamics and observation noise</li>
      <li>
        <tt>
          <b>x0,p0</b>
        </tt>: state estimate and error variance at t=0 based on data up to t=-1</li>
      <li>
        <tt>
          <b>y</b>
        </tt>: current observation Output from the function is:</li>
      <li>
        <tt>
          <b>x1,p1</b>
        </tt>: updated estimate and error covariance at t=1 based on data up to t=0</li>
      <li>
        <tt>
          <b>x</b>
        </tt>: updated estimate and error covariance at t=0  based on data up to t=0</li>
    </ul>
    <h3>
      <font color="blue">Description</font>
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    <p>
    function which gives the Kalman update and error variance</p>
    <h3>
      <font color="blue">Author</font>
    </h3>
    <p>C. B.  </p>
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